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If it has a picture of a PSP and a World symbol and says 'Wireless Compatible' underneath, it can be played over the internet.
Quite a few of the newer games such as Killzone are internet compatible and the instruction booklet should guide you through setting your connection up.
But as a quick guide. Can you access the internet for web pages on your psp? If you can, then the settings will already be on your PSP. If not, go to the internet icon on the PSP and it will guide you though setting up your Wi-fi router to connect to the PSP.
Once your settings are all on the PSP, you just need any game that supports internet play and it will automatically find your settings.